A Componentwise Splitting Method for Pricing American Options Under the Bates Model
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Publisher
Springer Netherlands
Link
http://link.springer.com/content/pdf/10.1007/978-90-481-3239-3_16.pdf
Reference35 articles.
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4. D. S. Bates. Jumps and stochastic volatility: Exchange rate processes implicit Deutsche mark options. Review Financial Stud., 9(1):69–107, 1996.
5. F. Black and M. Scholes. The pricing of options and corporate liabilities. J. Polit. Econ., 81:637–654, 1973.
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